Securitized Debt Obligations, Net

3 Months Ended

Mar. 31, 2020

6. SECURITIZED DEBT OBLIGATIONS, NET

In the first quarter of 2020 and the fourth quarter of 2017, we financed certain pools of our loans through collateralized loan obligations, which we refer to as the 2020 CLO and 2017 CLO, respectively, or collectively, the CLOs. We have also financed one of our loans through a single asset securitization vehicle, or the 2017 Single Asset Securitization. The 2020 CLO, 2017 CLO, and the 2017 Single Asset Securitization have issued securitized debt obligations that are

non-recourse

to us. The CLOs and the 2017 Single Asset Securitization are consolidated in our financial statements. Refer to Note 15 for further discussion of our CLOs and 2017 Single Asset Securitization.

The following tables detail our securitized debt obligations ($ in thousands):


	March 31, 2020
Securitized Debt Obligations	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Term (2)
2020 Collateralized Loan Obligation
Collateral assets	34	$	1,500,000	$	1,500,000		L+3.22	%		December 2023
Financing provided	1		1,243,125		1,231,186		L+1.47	%		February 2038
2017 Collateralized Loan Obligation
Collateral assets	16		717,763		717,763		L+3.35	%		January 2023
Financing provided	1		535,263		533,857		L+1.82	%		June 2035
2017 Single Asset Securitization
Collateral assets (3)	1		716,884		716,240		L+3.60	%		June 2023
Financing provided	1		474,620		474,597		L+1.63	%		June 2033
Total
Collateral assets	51	$	2,934,647	$	2,934,003		L+3.36	%

Financing provided (4)	3	$	2,253,008	$	2,239,640		L+1.59	%


	December 31, 2019
Securitized Debt Obligations	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Term (2)
2017 Collateralized Loan Obligation
Collateral assets	18	$	897,522	$	897,522		L+3.43	%		September 2022
Financing provided	1		715,022		712,517		L+1.98	%		June 2035
2017 Single Asset Securitization
Collateral assets (3)	1		711,738		710,260		L+3.60	%		June 2023
Financing provided	1		474,620		474,567		L+1.64	%		June 2033
Total
Collateral assets	19	$	1,609,260	$	1,607,782		L+3.51	%

Financing provided (4)	2	$	1,189,642	$	1,187,084		L+1.84	%


(1)		In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees. All-in yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation.
(2)		Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.
(3)		The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.
(4)		During the three months ended March 31, 2020 and 2019, we recorded $12.0 million and $13.5 million, respectively, of interest expense related to our securitized debt obligations.